Identifying diversifiers, hedges, and safe havens among Asia Pacific equity markets during COVID-19: New results for ongoing portfolio allocation

Fahad Ali, Ahmet Sensoy and John W. Goodell

International Review of Economics & Finance, 2023, vol. 85, issue C, 744-792

Abstract: We identify diversification benefits among Asian equity markets in the COVID-19 era. We find that such benefits among Asia-Pacific markets changed considerably during the pandemic, and most changes were persistent. In most cases, any of the sample equities had at least one safe-haven protection. The exceptions are Pakistan, Thailand, and Singapore, where diversification benefits are limited and vary across subperiods. The Hong Kong equity market provides safe-haven protection to most markets during periods of extreme negative returns. Further, we find that greater (lower) weightings on the Bangladeshi, Taiwanese, and Malaysian (Thai) markets provide important diversification in terms of maximizing Sharpe ratio and minimizing variance during the pandemic.

Keywords: COVID-19; Asian equity markets; International diversification; Hedging; Safe haven; Dynamic correlation; Portfolio optimization (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 G15 G18 G23 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:85:y:2023:i:c:p:744-792

DOI: 10.1016/j.iref.2023.02.015

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